On multilevel and control variate Monte Carlo methods for option pricing under the rough Heston model

QR Code

On multilevel and control variate Monte Carlo methods for option pricing under the rough Heston model

The rough Heston model is a form of a stochastic Volterra equation, which was proposed to model stock price volatility. It captures some important qualities that can be observed in the financial market—highly endogenous, statistical arbitrages prevention, liquidity asymmetry, and metaorders. Unlike...

Full description

Bibliographic Details
Main Authors:	Siow, Woon Jeng, Kilicman, Adem
Format:	Article
Published:	MDPI 2021
Online Access:	http://psasir.upm.edu.my/id/eprint/94432/

Similar Items

SPX calibration of option approximations under rough Heston model
by: Siow, Woon Jeng, et al.
Published: (2021)

Approximation formula for option prices under Rough Heston model and short-time implied volatility behaviour
by: Siow, Woon Jeng, et al.
Published: (2020)

Option pricing for rough Heston model using numerical methods
by: Siow, Woon Jeng
Published: (2021)

Fractional Riccati equation and its applications to rough Heston model using numerical methods
by: Siow, Woon Jeng, et al.
Published: (2020)

Series expansion and fourth-order global pade approximation for rough Heston solution
by: Siow, Woon Jeng, et al.
Published: (2020)

Pricing writer-extendable call options with Monte Carlo simulation
by: Wan Omar, Hazimah, et al.
Published: (2024)

Investigation and Improvement of Option Valuation in Monte Carlo Method
by: Song, Ying
Published: (2019)

A Real Options Approach, Pricing a Pharmaceutical R&D project using the Least Squares Monte Carlo Algorithm
by: Dai, Kai
Published: (2007)

Sequential Monte Carlo in sequence
by: Nur Nabihah Rusyda, Roslan, et al.
Published: (2022)

Development of kinetic Monte Carlo and Bin-Monte Carlo schemes for simulation of mixtures - vapor-liquid equilibria & adsorption
by: Nguyen, V., et al.
Published: (2013)

Underinsurance in Malaysia: the application of the Monte Carlo simulation
by: Hendon Redzuan,, et al.
Published: (2016)

Bi-Directional Monte Carlo Tree Search
by: Spoerer, Kristian
Published: (2021)

Improved Version of Monte Carlo 1 Algorithm
by: Hossin, M., et al.
Published: (2014)

Monte Carlo variational transition‐state theory study of recombination and desorption of hydrogen on Si(111)
by: Ibrahim Ali , Noorbatcha
Published: (1986)

Monte Carlo simulations of random non-commutative geometries
by: Barrett, John W., et al.
Published: (2016)

On two-stage Monte Carlo tests of composite hypotheses
by: Baddeley, Adrian, et al.
Published: (2017)

Pricing arithmetic Asian put option with early exercise boundary under jump-diffusion process
by: Laham, Mohamed Faris, et al.
Published: (2020)

On stochastic error and computational efficiency of the Markov Chain Monte Carlo method
by: Li, J., et al.
Published: (2014)

Constant pressure path integral Gibbs ensemble Monte Carlo method
by: Kowalczyk, Piotr, et al.
Published: (2013)

Optimization Of Project Duration And Constraint Resource Using Monte Carlo Method
by: Yap, Han Yin
Published: (2017)

Pricing currency option in a mixed fractional Brownian motion with jumps environment
by: Shokrollahi, Foad, et al.
Published: (2014)

Bayesian inversion of pile test: Monte Carlo simulation approach
by: Harahap, I.S.H., et al.
Published: (2008)

Monte Carlo study on anomalous carrier diffusion in inhomogeneous semiconductors
by: Mori, N., et al.
Published: (2015)

Classification of process dynamics with Monte Carlo singular spectrum analysis
by: Jemwa, G., et al.
Published: (2006)

Hybrid Finite Element And Monte Carlo Analysis Of Cracked Pipe
by: Mohd Akramin, Mohd Romlay, et al.
Published: (2010)

Monte Carlo analysis of the human vertebra based on compressive loading
by: Zulkifli, Ahmad@Manap, et al.
Published: (2012)

Monte Carlo simulation of mixed nonionic Brij surfactants in water
by: Yahya, Ruzanna, et al.
Published: (2014)

Simulation of intrinsic resolution of scintillation camera in Monte Carlo environment
by: Dong, Xianling, et al.
Published: (2013)

Markov chain Monte Carlo convergence diagnostics for Gumbel model
by: Mohd Amin, Nor Azrita, et al.
Published: (2016)

Monte Carlo design of optimal wire mesh collimator for breast tumor imaging process.
by: Mohd Saad, Wira Hidayat, et al.
Published: (2011)

The lattice Monte Carlo method for solving phenomenological mass and heat transport problem
by: Belova, Irini V., et al.
Published: (2007)

Simulation of single electron transistor (SET) circuits using Monte Carlo method
by: Ahmad, Syabani
Published: (2007)

Monte Carlo molecular simulation of phase-coexistence for oil production and processing
by: Li, J., et al.
Published: (2011)

Bin-Monte Carlo simulation of ethylene coexistence and of ethylene adsorption on graphite
by: Fan, Chunyan, et al.
Published: (2013)

A Monte Carlo Study of Tests for the Independence of Irrelevant Alternatives Property
by: Fry, T.R.L., et al.
Published: (1996)

The Application of Monte Carlo Simulation for Estimating Project Costs - A Review
by: Baccarini, David
Published: (2009)

Application of parallel ensemble Monte Carlo technique in charge dynamics simulation
by: A. P. Othman,, et al.
Published: (2008)

Comparison of Monte Carlo and bootstrap analyses for residual life and confidence interval
by: Husnain, M.M.N., et al.
Published: (2023)

Monte Carlo simulation convergences’ percentage and position in future reliability evaluation
by: Nur Nabihah Rusyda, Roslan, et al.
Published: (2022)

The effectiveness of accuracy in cost estimation by using monte carlo simulation model
by: Siti Haifullia, Ayob
Published: (2013)